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20072020
most citedPathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping

39 citations · 110 across the 7 of their papers we have counts for

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Showing 2009 · math.PRShow all

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math.PR2009★ 28 cited

On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation

Laurent Carraro, Nicole El Karoui, Jan Obłój

We study the class of Azéma-Yor processes defined from a general semimartingale with a continuous running maximum process. We show that they arise as unique strong solutions of the…